Scaling and memory in the return intervals of realized volatility
نویسندگان
چکیده
منابع مشابه
Scaling and memory in the return intervals of realized volatility
We perform return interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and memory effect of the return intervals between successive realized volatilities above a certain threshold q are carefully investigated. In comparison with ...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2009
ISSN: 0378-4371
DOI: 10.1016/j.physa.2009.08.009